Well, the only public march I've been on was last year's Pride parade. Whether it's necessarily a cause to support as such, or something to take part in because of the sense of community and the happy carnival atmosphere, I'm not sure. I enjoyed it though, and am disappointed not to be going again this year. I'll hopefully be at next year's. Generally speaking, though, if there were a chance to join a march that was specifically campaigning for something LGBT rights-related (say, urging the government to introduce same-sex marriage legislation) I'd jump at the chance to take part.
I'd also probably consider going on an anti-war demonstration. I didn't go to the one immediately prior to the Iraq war (well, not to take part, although I was in London that day), but if there was another one, then if I could I probably would.